Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0986 |
| Annualized Std Dev | 0.2808 |
| Annualized Sharpe (Rf=0%) | -0.3513 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3561.0000 |
| NAs | 1.0000 |
| Minimum | -0.1626 |
| Quartile 1 | -0.0056 |
| Median | 0.0011 |
| Arithmetic Mean | -0.0003 |
| Geometric Mean | -0.0004 |
| Quartile 3 | 0.0060 |
| Maximum | 0.3281 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0008 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0003 |
| Stdev | 0.0177 |
| Skewness | 1.1492 |
| Kurtosis | 50.7017 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0127 |
| Gain Deviation | 0.0142 |
| Loss Deviation | 0.0158 |
| Downside Deviation (MAR=210%) | 0.0170 |
| Downside Deviation (Rf=0%) | 0.0128 |
| Downside Deviation (0%) | 0.0128 |
| Maximum Drawdown | 0.8810 |
| Historical VaR (95%) | -0.0224 |
| Historical ES (95%) | -0.0439 |
| Modified VaR (95%) | -0.0050 |
| Modified ES (95%) | -0.0050 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-04-19 | 2020-03-18 | NA | -0.8810 | 3506 | 3252 | NA |
| 2007-02-05 | 2007-03-05 | 2007-04-02 | -0.0426 | 40 | 20 | 20 |
| 2007-04-10 | 2007-04-11 | 2007-04-12 | -0.0061 | 3 | 2 | 1 |
| 2007-04-17 | 2007-04-17 | 2007-04-18 | -0.0028 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | 0.8 | -1.1 | 0.3 | 0.6 | 1.2 | 0.5 | -0.6 | 0.8 | 1 | -1.7 | 2.1 | 2 | 5.9 |
| 2008 | 1 | -1 | 1.9 | 0.9 | -1.2 | -1.2 | -0.4 | -1.1 | 1.3 | 2.5 | -3.7 | 5.8 | 4.6 |
| 2009 | -0.9 | -1.6 | 3.8 | 2.1 | 2.3 | 1 | 0.5 | -1.1 | -2.3 | -3.7 | 1.7 | -0.9 | 0.7 |
| 2010 | 2.7 | 1.1 | 0.3 | -1 | -2.6 | 4 | 0 | 2 | 1.1 | 0.7 | 1.6 | -0.3 | 9.9 |
| 2011 | 1.5 | -1 | 0.3 | 0.3 | -0.8 | 1.2 | 3 | -1.7 | -3.2 | -2 | 0.7 | 0.5 | -1.5 |
| 2012 | 1.5 | 0.4 | 0 | 0.9 | -1.9 | 1 | -0.2 | 1.2 | 0.7 | 1.2 | 0.2 | 0.5 | 5.5 |
| 2013 | 1 | 0 | -0.7 | -0.2 | -1.7 | 0.5 | 1.2 | 0.5 | 0.5 | 0.2 | 0.7 | 0 | 2.1 |
| 2014 | -1 | 0.8 | 0.5 | 0.5 | 0.6 | 1.1 | -0.6 | 0.1 | -0.6 | 1.3 | -1 | -2 | -0.3 |
| 2015 | -1.5 | 0.2 | -0.3 | 0.7 | 0.4 | 0.7 | 0.1 | -2.5 | 1.1 | 0.8 | 1.1 | -0.5 | 0.2 |
| 2016 | 0.1 | 2.2 | 0.1 | 0 | 0.5 | 1 | -0.3 | -0.4 | 0.3 | -0.8 | -0.4 | 0.5 | 2.9 |
| 2017 | 0.3 | 1 | -0.1 | -0.9 | 0.7 | 0 | -0.1 | 1.2 | 0.3 | 1 | 0 | 0.2 | 3.5 |
| 2018 | 0.2 | -1 | 1.2 | -0.4 | 0.9 | 0.2 | -0.1 | -0.1 | 0.5 | 1.4 | 0.1 | 0.3 | 3.2 |
| 2019 | 0.5 | 0.2 | 0.8 | 0.2 | -1.3 | 0.1 | -1 | 0 | -0.8 | 1.1 | -0.5 | 0.7 | 0.1 |
| 2020 | -2 | -4.3 | -4.7 | -2.2 | 0.8 | 0.3 | -0.5 | 0.1 | -0.6 | -1.9 | 1.6 | -0.6 | -13.3 |
| 2021 | 1.1 | 2.3 | 0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
